Annual Report For the Year Ended December 31, 2015

Annual Report For the Year Ended December 31, 2015 First Trust/ Aberdeen Emerging Opportunity Fund (FEO) Table of Contents First Trust/Aberdeen Eme...
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Annual Report For the Year Ended December 31, 2015

First Trust/ Aberdeen Emerging Opportunity Fund (FEO)

Table of Contents First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Report December 31, 2015 Shareholder Letter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . At a Glance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio Commentary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Portfolio of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Statement of Assets and Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Statement of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Statement of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Additional Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Board of Trustees and Officers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Privacy Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1 2 4 8 17 18 19 20 21 22 29 30 34 36

Caution Regarding Forward-Looking Statements This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and/or Aberdeen Asset Management Inc. (“Aberdeen” or the “Sub-Advisor”) and their respective representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes. Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and/or Sub-Advisor and their respective representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.

Performance and Risk Disclosure There is no assurance that the Fund will achieve its investment objectives. The Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in the Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Fund. Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit http://www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and common share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost. The Advisor may also periodically provide additional information on Fund performance on the Fund’s web page at http://www.ftportfolios.com.

How to Read This Report This report contains information that may help you evaluate your investment in the Fund. It includes details about the Fund and presents data and analysis that provide insight into the Fund’s performance and investment approach. By reading the portfolio commentary by the portfolio management team of the Fund, you may obtain an understanding of how the market environment affected the Fund’s performance. The statistical information that follows may help you understand the Fund’s performance compared to that of relevant market benchmarks. It is important to keep in mind that the opinions expressed by personnel of Aberdeen are just that: informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in the Fund are spelled out in the prospectus, the statement of additional information, this report and other Fund regulatory filings.

Shareholder Letter First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Letter from the Chairman and CEO December 31, 2015 Dear Shareholders: Thank you for your investment in First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”). First Trust Advisors L.P. (“First Trust”) is pleased to provide you with this annual report which contains detailed information about your investment for the 12 months ended December 31, 2015, including a performance analysis and a market outlook. Additionally, First Trust has compiled the Fund’s financial statements for you to review. We encourage you to read this report and discuss it with your financial advisor. While markets were up and down during 2015, we believe there are three important things to remember: first, the U.S. economy grew, in spite of the massive decline in oil prices; and second, the tapering that began in 2014 by the Federal Reserve (the “Fed”) did not stop growth in the U.S. economy either. Finally, the long-anticipated rate hike by the Fed in December had little effect on the money supply, and the stock market was not shocked by the hike. We remain positive on U.S. markets, although we know that markets will always move up and down. First Trust believes that having a long-term investment horizon and being invested in quality products can help you reach your goals, despite how the market behaves. We have always maintained perspective about the markets and believe investors should as well. We will continue to strive to provide quality investments each and every day, which has been one of the hallmarks of our firm since its inception nearly 25 years ago. Thank you for giving First Trust the opportunity to be a part of your investment plan. We value our relationship with you and will continue to focus on helping investors like you reach your financial goals. Sincerely,

James A. Bowen Chairman of the Board of Trustees Chief Executive Officer of First Trust Advisors L.P.

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First Trust/Aberdeen Emerging Opportunity Fund (FEO) “AT A GLANCE” As of December 31, 2015 (Unaudited) Common Share Price & NAV (weekly closing price)

Fund Statistics Symbol on New York Stock Exchange FEO Common Share Price $13.06 Common Share Net Asset Value (“NAV”) $15.34 Premium (Discount) to NAV (14.86)% Net Assets Applicable to Common Shares $81,144,863 Current Quarterly Distribution per Common Share (1) $0.350 Current Annualized Distribution per Common Share $1.400 Current Distribution Rate on Closing Common Share Price (2) 10.72% Current Distribution Rate on NAV (2) 9.13%

Common Share Price

$20.00

NAV

$18.00 $16.00 $14.00 $12.00 $10.00

14 12/

5 1/1

5 2/1

5 3/1

5 4/1

5 5/1

6 6/1

5 7/1

5 8/1

5 9/1

15

10/

15 11/

15 12/

Performance 1 Year Ended 12/31/15 Fund Performance (3) NAV Market Value Index Performance Blended Index(4) Barclays Capital Global Emerging Markets Index FTSE All World Emerging Market Index

Top 10 Holdings Brazil Notas Do Tesouro Nacional Series F (BRL), 10%, 1/1/25 Samsung Electronics Co., Ltd., Preference Shares, 0%, Taiwan Semiconductor Manufacturing Co., Ltd., 0%, Fomento Economico Mexicano, S.A.B. De C.V., ADR, 0%, Russian Federal Bond - Ofz (RUB), 7.05%, 1/19/28 AIA Group Ltd, 0%, Housing Development Finance Corp, 0%, Mexican Bonos (MXN), 8.5%, 11/18/38 Astra International Tbk Pt, 0%, Grupo Financiero Banorte, S.A.B. De C.V., O Shares, 0%, Total

(1) (2)

(3)

(4)

(5) (6)

% of Total Investments 2.7% 2.4 1.9 1.7 1.7 1.7 1.7 1.6 1.6

Average Annual Total Return ____________________________________________ 5 Years Ended Inception (08/28/06) 12/31/15 to 12/31/15

-9.16% -12.61%

-0.26% -2.14%

6.03% 3.71%

-8.90% -0.18% -15.22%

-0.52% 4.60% -4.50%

5.12% 6.42% 3.43%

% of Total Investments

Top 10 Countries(5) India Brazil Mexico Russia Turkey South Africa Hong Kong Indonesia South Korea Kazakhstan Total

8.9% 8.7 8.7 6.7 5.9 5.1 4.9 4.3 3.1 3.0 59.3% _______ _______

1.5 18.5% _______ _______

Most recent distribution paid or declared through 12/31/2015. Subject to change in the future. Distribution rates are calculated by annualizing the most recent distribution paid or declared through the report date and then dividing by Common Share price or NAV, as applicable, as of 12/31/2015. Subject to change in the future. Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan and changes in NAV per Common Share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods less than one year. Past performance is not indicative of future results. Blended Index consists of the following: JPMorgan Emerging Markets Bond Index - Global Diversified (32.5%); JPMorgan Government Bond Index - Emerging Markets Diversified (32.5%); MSCI Emerging Markets Index (35.0%). Fixed-income portfolio securities are included in a country based upon their underlying credit exposure as determined by Aberdeen Asset Management Inc., the sub-advisor. The credit quality and ratings information presented above reflects the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Rating Group, a division of the McGraw-Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest ratings are used. The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its Shares. Credit ratings are subject to change.

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First Trust/Aberdeen Emerging Opportunity Fund (FEO) “AT A GLANCE” (Continued) As of December 31, 2015 (Unaudited) % of Total Investments

Industry Classification Sovereigns Banks Real Estate Management & Development Food & Staples Retailing Beverages Construction Materials Oil, Gas & Consumable Fuels Wireless Telecommunications Services Automobiles Technology Hardware, Storage & Peripherals Semiconductors Exploration & Production Insurance Metals & Mining Thrifts & Mortgage Finance Real Estate Tobacco Integrated Oils Transportation Infrastructure IT Services Government Agencies Railroad Financial Services Diversified Financial Services Hotels Restaurants & Leisure Household Products Specialty Retail Energy Equipment & Services Pharmaceuticals Construction Materials Manufacturing Consumer Services Government Development Banks Food & Beverage Food Products Multiline Retail Consumer Finance Software & Services Pipeline Oil & Gas Services & Equipment Wireline Telecommunications Services Chemicals Refining & Marketing Home Improvement Supermarkets & Pharmacies Industrial Other Total

34.6% 11.7 3.9 3.4 3.2 3.1 2.7 2.6 2.4 2.4 1.9 1.7 1.7 1.7 1.7 1.4 1.3 1.3 1.2 1.2 1.2 1.1 1.0 1.0 0.9 0.9 0.8 0.8 0.7 0.7 0.6 0.6 0.6 0.5 0.5 0.5 0.4 0.4 0.4 0.3 0.3 0.3 0.2 0.2 0.0* 100.0% _______ _______

% of Total Investments

Credit Quality(6) A BBB+ BBB BBBBB+ BB BBB+ B BCCC NR Total

9.3% 2.7 12.5 26.6 7.9 1.7 9.7 12.6 8.1 1.3 1.0 6.6 100.0% _______ _______

* Amount is less than 0.05%.

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Portfolio Commentary First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Report December 31, 2015 (Unaudited)

Sub-Advisor Aberdeen Asset Management Inc. (“Aberdeen” or the “Sub-Advisor”), a Securities and Exchange Commission registered investment advisor, is a wholly-owned subsidiary of Aberdeen Asset Management PLC (“Aberdeen Group”). Aberdeen Group is a publicly-traded international investment management group listed on the London Stock Exchange, managing assets for both institutional and retail clients from offices around the world.

Portfolio Management Team Investment decisions for the First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”) are made by Aberdeen using a team approach and not by any one individual. By making team decisions, Aberdeen seeks to ensure that the investment process results in consistent returns across all portfolios with similar objectives. Aberdeen does not employ separate research analysts. Instead, Aberdeen’s investment managers combine analysis with portfolio management. Each member of the team has sector and portfolio responsibilities such as day-to-day monitoring of liquidity. The overall result of this matrix approach is a high degree of cross-coverage, leading to a deeper understanding of the securities in which Aberdeen invests. Below are the members of the team with significant responsibility for the day-to-day management of the Fund’s portfolio. Equity Management Team Fixed-Income Management Team Devan Kaloo Brett Diment Head of Global Emerging Markets Equity Head of Emerging Market Debt Joanne Irvine Kevin Daly Head of Global Emerging Markets ex Asia Senior Investment Manager, Emerging Market Debt Mark Gordon-James Edwin Gutierrez Senior Investment Manager, Global Emerging Markets Equity Head of Emerging Market Sovereign Debt Fiona Manning Max Wolman Senior Investment Manager, Global Emerging Markets Equity Senior Investment Manager, Emerging Market Debt Peter Taylor Senior Investment Manager/Head of Corporate Governance, Global Emerging Markets Equity

Commentary First Trust/Aberdeen Emerging Opportunity Fund The investment objective of the Fund is to provide a high level of total return. The Fund pursues its investment objective by investing at least 80% of its managed assets in a diversified portfolio of equity and fixed-income securities of issuers in emerging market countries. There can be no assurance that the Fund’s investment objective will be achieved, and the Fund may not be appropriate for all investors. Fund Recap The Fund had a net asset value (“NAV”) total return1 of -9.16% and a market value total return of -12.61% for the year ended December 31, 2015, compared to the Fund’s blended index2 total return of -8.90% over the same period. In addition to the blended index, the Fund currently uses other indexes for comparative purposes. The total returns for the year ended December 31, 2015, for these indexes were as follows: the Barclays Capital Global Emerging Markets Index was -0.18% and the FTSE All World Emerging Market Index was -15.22%. An important factor impacting the return of the Fund relative to the indexes was the Fund’s use of financial leverage through the use of bank borrowings. The Fund uses leverage because its managers believe that, over time, leverage provides opportunities for additional income and total return for common shareholders. However, the use of leverage can also expose common shareholders to additional volatility. For example, as the prices of securities held by the Fund decline, the negative impact of the valuation changes on Common Share NAV and Common Shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance Common Share returns during periods when the prices of securities held by the Fund generally are rising. Unlike the Fund, the Barclays Capital Global Emerging Markets Index, the FTSE All World Emerging Market Index and the components of the blended index are not leveraged. Leverage had a negative impact on the performance of the Fund over this reporting period.

1

2

Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and changes in NAV per share for NAV returns and changes in Common Share Price for market value returns. Total returns do not reflect sales load and are not annualized for periods less than one year. Past performance is not indicative of future results. The blended index consists of the following: JPMorgan Emerging Markets Bond Index - Global Diversified (32.5%); JPMorgan Government Bond Index - Emerging Markets Diversified (32.5%); MSCI Emerging Markets Index (35.0%).

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Portfolio Commentary (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Report December 31, 2015 (Unaudited)

Fixed Income Commentary Market Recap It has been a challenging 12 months for emerging markets (“EM”) debt. A number of geopolitical and macroeconomic events contributed to risk-adverse conditions, causing retail fund outflows throughout the year except in October, when EM debt rallied across the board, as risk-on sentiment took hold of the market. A combination of the U.S. Federal Reserve (the “Fed”) holding off on interest rate hikes, better economic data from China and the possibility of further policy-easing by the European Central Bank (“ECB”) drove positive returns. However, EM debt gave back some of its gains in November and December, in the run up to the Fed finally raising rates. Events in the U.S. were a strong driver of EM performance over the period, as a strong U.S. dollar pushed EM currencies to all-time lows and the continuing “will-they-won’t-they” saga relating to the hiking of U.S. interest rates spooked markets. Disappointing employment data quickly ruled out the possibility of a June hike. Market conjecture then pointed to September but the Federal Open Market Committee (“FOMC”) meeting came and went with the announcement the Fed would not yet be hiking rates. Following hawkish indications, the FOMC finally confirmed in December that it would raise its target rate by 25 basis points, seven years after cutting to the zero lower bound. In Europe, the announcement and subsequent initiation of the ECB’s quantitative easing program caused Eurozone bonds to outperform in the first quarter. The positive performance in emerging Europe was short-lived, however, as financial turmoil in Greece heightened risk-off sentiment. Greece finally reached an agreement with its European creditors in July though problems still exist. At the end of the year, the ECB, under-delivered with its expanded stimulus package, as the pace of quantitative easing bond purchases was not increased nor was the yield floor on purchases removed. Elsewhere, the People’s Bank of China (PBoC) eased policy yet again by cutting the Reserve Requirement Ratio by 50 basis points and its benchmark rates by 25 basis points. Oil prices were also a key driver of returns, as the Organization of the Petroleum Exporting Countries (“OPEC”) declined to cut production which caused both West Texas Intermediate (“WTI”) and Brent crude to fall by over 16% to end the year around U.S. $37 per barrel. Elsewhere in Europe, Russia had a mixed year. The beginning of 2015 was characterized by economic volatility within the country, as the Russian Central Bank cut its policy interest rate by 300 basis points to 14%. This followed an emergency meeting in December, where rates were raised by 650 basis points. Russia’s credit rating was cut to junk status by both Standard & Poor’s and Moody’s, with both agencies keeping a negative outlook on the country. The contraction of the country’s economy – though softer than expected – accelerated in the second quarter with poor industrial output and retail sales. Despite some positive statements from the central bank and some encouraging data, Russia’s contraction appeared to continue in the third quarter. News flow towards the end of the period was dominated by central bank activity in China. With its economy showing continued signs of a slowdown, at the start of the month, the Chinese government devalued the renminbi by a record 1.90%, spurring investors to drive the currency to its lowest level in nearly three years. This currency depreciation coupled with weak economic data brought chaos to equity markets, in turn prompting policy makers to take action and cut interest rates by 25 basis points, in a bid to calm the storm. In November, it was announced that the renminbi will be included in the International Monetary Fund’s Special Drawing Rights basket of currencies beginning in October 2016. While the direct impact of inclusion will be minimal, it confirms China’s ongoing commitment to liberalizing its capital account and may result in some gradual managed depreciation over the medium term. Brazil has had a particularly difficult year, culminating with credit ratings agency, Standard & Poor’s, downgrading its sovereign rating and with it $56 billion of corporate debt, which dropped out of the investment grade index causing a flurry of index-related forced selling. In response to the downgrade, Brazil’s central bank announced that it would “use all available instruments” to arrest the continued depreciation of the Brazil real against the U.S. dollar. There were two pieces of favorable news at the end of September, as Petrobras, the state-controlled oil company, increased its petrol and diesel prices by 6% and 4%, respectively, which will help it reclaim some losses from the recent Brazilian real depreciation. Performance Analysis For the year, the EM debt portion of the Fund outperformed the EM debt portion of its blended index in hard currency but not in local currency bonds. Within the hard currency space, the Fund’s overweight positions in Russia, Kazakhstan and Argentina were the key positive contributors to performance, as were off-index holdings in the United Arab Emirates and selection effects in Venezuela. On the other side, an underweight position in Colombia detracted from performance as did underweight positions in China, Hungary and the Philippines, while an underweight for most of the year in Ukraine also detracted from the Fund’s performance.

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Portfolio Commentary (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Report December 31, 2015 (Unaudited) Within the local currency holdings, underweight positions in South Africa and Malaysia benefited the Fund as did bond selection in Russia and an underweight in Peru. Overweight positioning in Brazil was the main detractor from performance as was currency exposure in Colombia and an underweight in Turkey. Market and Fund Outlook EM have had another tough year as external factors – most notably when U.S. monetary policy would be tightened – guided sentiment against the asset class. It should be noted though that aggregate hard currency sovereign and corporate bonds had positive returns, while local currency rates all avoided losses over 2015 – it was in EM where the most pain was felt. The key is that many more EM countries have free-floating exchange rates compared to the U.S. dollar pegs of the past, which have allowed currencies to become the favored “venting mechanism” for the markets to express a negative view. We believe there are some benefits to this: it contains volatility in hard currency spreads and local currency yields, and on a fundamental level improves balance of payments positions by boosting export competitiveness and increasing imports costs. Ultimately, EM currencies will stabilize, which means that local currency bonds in U.S. dollar terms could become a better performing asset class in the coming years. Looking ahead, we believe the key risks for EM in the coming year will be the pace of U.S. rate hikes and concerns about Chinese growth that could prompt renewed fears of currency weakness. In the absence of any inflation surprises, we would expect a more moderate pace of U.S. rate hikes to be generally supportive for higher yielding assets. Concerns about China are likely to persist at times, but we believe further stimulus will help prevent a sharp slowdown in growth, and that officials will seek to stem currency volatility in what is still a tightly managed exchange rate.

Equity Commentary Market Recap It was a challenging year for EM equities, which ended the year lower in U.S. dollar terms. At first, markets were relatively resilient, even staging a rally in the first quarter of 2015, on a wave of global monetary easing. But eventually, sentiment was battered by plummeting commodity prices, Greece’s protracted financial crisis and renewed concerns over China’s economic slowdown. Most EM currencies depreciated against the U.S. dollar. The Fed’s mixed signals on interest rates throughout the year added to uncertainty. By the time the Fed finally raised rates in December, however, market reaction was muted: the impact of a rate hike had already largely been priced in. Investors were also somewhat reassured by the Fed’s emphasis on a gradual pace of rate hikes in 2016. China was firmly in the limelight. Mainland shares rose sharply, fueled by feverish speculation, before tumbling after a crackdown on margin trading. Following a raft of data pointing to a deepening slowdown in the economy, the central bank unexpectedly devalued its currency, sparking investor concerns of a currency war. Despite the volatility, stocks in China and Hong Kong were among the best performers, buttressed by stimulus efforts. Elsewhere in Asia, receding inflation gave central banks the leeway to unveil measures to boost growth. Indonesia announced a series of stimulus packages, including an electricity tariff cut and a new minimum wage formula linked to inflation and real GDP. The Reserve Bank of India cut interest rates four times, providing a welcome boost to sentiment and the economy’s nascent recovery. Brazil led the weakness in Latin America. The real sank to a record low against the dollar after the nation lost its investment-grade credit rating in a surprise downgrade by Standard & Poor’s. Dissatisfaction over the deteriorating growth outlook and the unfolding Petrobras corruption scandal culminated in mass demonstrations calling for President Dilma Rousseff’s impeachment. Chile, a net oil importer, benefited amid the weakness in energy markets, although concerns persisted over the government’s proposed reforms. Meanwhile, Mexico was supported by relatively resilient GDP growth driven by domestic consumption. In emerging Europe, Hungary outperformed its regional counterparts, as its currency held up well against the U.S. dollar and GDP growth outpaced the eurozone. The nation is expected to regain its investment-grade status in 2016. Gains were pared by Russia and Turkey, however. Along with the raft of international sanctions for its incursion into Ukraine, weak commodity prices and fiscal austerity, driven by declining tax revenues, deepened Russia’s recession. Despite better-than-expected economic growth in Turkey, investors remained wary of domestic political uncertainty, as well as Russian sanctions in response to the downing of a warplane. Performance Analysis The equity portion of the Fund outperformed the equity portion of the blended index over the year, largely owing to positive stock selection. The currency effect was negative as emerging market currencies broadly depreciated against the U.S. dollar, which rose amid expectations of an impending increase in interest rates.

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Portfolio Commentary (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) Annual Report December 31, 2015 (Unaudited) Good stock selection in Latin America compensated for market weakness. In Mexico, airport operator Asur continued to rally, driven by consistent growth in passenger traffic, while bottler and convenience store operator Femsa rose on the back of acquisitions in its pharmacy business. However, the overweight to Brazil pared gains. Brazilian equities tumbled and the real continued to depreciate, owing to heightened concerns over president Rousseff’s commitment to fiscal discipline and S&P’s downgrade of the nation’s debt. Iron ore producer Vale’s shares fell following an accident at Samarco, its joint-venture operation with BHP Billiton. The company has handled communication with its investors well, but there remains significant concern over the magnitude of the potential fines the company faces, while the environment of low iron ore prices will compound difficulties. The exposure to Europe, Middle East and Africa (“EMEA”) was also positive. In particular, shares of South African beverage company SABMiller rallied on news of a potential takeover bid from rival brewer ABI. In Poland, food retailer Jeronimo Martins continued to do well, as its results demonstrated operational improvements. Hungarian drug-maker Richter Gedeon’s earnings were boosted by a milestone payment on its anti-psychotic treatment, Cariprazine, from the company’s U.S. partner, Allergan. In Asia, the underweight to China continued to hamper performance. Chinese stocks rose sharply in the beginning of the year, in response to a tide of equity account openings, a surge in margin trading activity, and monetary easing. Although weak economic data reversed gains in the second half, the MSCI China Index still ended the year among the best-performing markets. Currency returns were also negative: while the yuan weakened against the U.S. dollar, it appreciated against most major global currencies in 2015. At the stock level, not holding the internet company Tencent was the largest detractor from Fund performance, as its share price rose after it announced good results and planned to monetise its WeChat platform. We do not hold Tencent due to concerns over corporate governance. In particular, its variable interest entity (“VIE”) structure, which is used to get around legal restrictions on the foreign ownership of internet assets in China, offers limited protection to minority shareholders. On the other hand, our non-blended index exposure to Hong Kong benefited the Fund, as AIA posted better-than-expected results. It delivered double-digit growth in new business value on a constant currency basis in all markets except Korea. We also benefited from our overweight to India, which was among the most resilient markets. Market Outlook The Fed’s move to finally raise interest rates, while emphasizing that any future adjustments will be gradual, has brought welcome clarity to investors. The hope is that focus can now somewhat return to fundamentals. On the whole, we believe EMs are better positioned for higher interest rates than they were during the 2013 ‘taper tantrum’, thanks to improved external balances and higher reserves. That said, the pace of U.S. interest rate hikes will be closely watched in 2016. A steeper-than-expected interest rate trajectory would be a key risk for developing markets, especially if this causes the U.S. dollar to strengthen drastically against EM currencies. This would weigh most on the nations that have borrowed heavily in U.S. dollars, including Brazil, Russia and Turkey, as their debt burdens would increase in local currency terms. Another driver of sentiment is likely to be the slowdown in China, as it restructures an export- and investment-led economy towards a more sustainable model with consumption and services as its main growth pillars. While this is a good thing in the longer term, the knock-on impact on commodity prices may spell trouble for emerging market exporters. With major oil players continuing to ramp up production, short-term prospects for the energy sector appear challenging. The developing economies that made use of the boom years to strengthen their current account balances and increase productivity are betterplaced to weather the ‘new normal’ of lower levels of trade and investment. Against this backdrop, we continue to find opportunity amid the market volatility, and are upbeat on EMs’ long-term potential. Negative investor sentiment has punished share prices indiscriminately and valuations now look reasonable both on a historical as well as relative basis. We also expect corporate earnings to improve modestly in 2016. Many companies are working to maintain or grow margins, which we believe should position them for an earnings recovery. Most of our holdings are market leaders that have done well despite a difficult operating environment. We remain confident in their prospects.

Page 7

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) December 31, 2015 Shares Description Value _______________ ______________________________________________________________________________________ _____________ COMMON STOCKS - 51.1% Australia - 0.0% 15,636 South32 Ltd. (b) (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $_____________ 12,178 Brazil - 3.9% 148,779 Banco Bradesco S.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 715,627 31,000 BRF S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 434,098 100,000 Lojas Renner S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432,228 30,454 Multiplan Empreendimentos Imobiliarios S.A., Preference Shares . . . . . . . . . . . . . . . . . . . . . . . 292,512 58,267 Ultrapar Participacoes S.A. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 890,298 84,104 Vale S.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276,702 58,842 Vale S.A., Preference Shares, ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 150,047 3,191,512 _____________ Chile - 0.7% 30,459 Banco Santander Chile S.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 537,297 China - 2.3% 115,000 China Mobile Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,294,452 862,000 PetroChina Co., Ltd., Class H (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 564,301 1,858,753 _____________ Hong Kong - 4.8% 247,000 AIA Group Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,475,846 202,000 Hang Lung Group Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 655,069 16,800 Hong Kong Exchanges and Clearing Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 427,977 528,000 Swire Pacific Ltd., B Shares (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,074,246 89,600 Swire Properties Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 257,630 3,890,768 _____________ Hungary - 0.8% 33,000 Richter Gedeon Nyrt (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 622,859 India - 8.8% 17,000 Grasim Industries Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 962,968 18,500 Hero MotoCorp Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 750,683 57,000 Hindustan Unilever Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 742,844 75,500 Housing Development Finance Corp., Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,435,998 200,000 ICICI Bank Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 789,947 60,472 Infosys Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,007,678 231,173 ITC Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,143,108 7,428 UltraTech Cement Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 311,400 7,144,626 _____________ Indonesia - 2.3% 3,083,100 Astra International Tbk PT (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,328,053 316,300 Indocement Tunggal Prakarsa Tbk PT (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 507,221 1,835,274 _____________ Italy - 0.8% 27,900 Tenaris S.A., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 664,020 Malaysia - 0.9% 234,167 CIMB Group Holdings Bhd (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 246,902 120,000 Public Bank Bhd (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 517,058 763,960 _____________

Page 8

See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Shares Description Value _______________ ______________________________________________________________________________________ _____________ COMMON STOCKS (Continued) Mexico - 4.7% 16,200 Fomento Economico Mexicano, S.A.B. de C.V., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,496,070 26,500 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,018,925 238,200 Grupo Financiero Banorte, S.A.B. de C.V., O Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 1,310,242 3,825,237 _____________ Philippines - 2.1% 1,400,000 Ayala Land, Inc. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,023,361 394,359 Bank of the Philippine Islands (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 702,387 1,725,748 _____________ Poland - 0.8% 18,196 Bank Pekao S.A. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 664,569 Portugal - 0.7% 41,692 Jeronimo Martins SGPS S.A. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 542,515 Russia - 2.1% 26,500 Lukoil PJSC, ADR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 860,853 5,181 Magnit PJSC (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 796,282 1,657,135 _____________ South Africa - 3.5% 26,000 BHP Billiton PLC (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291,141 48,610 Massmart Holdings Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 314,689 40,215 MTN Group Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346,426 19,978 SABMiller PLC (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,204,259 119,729 Truworths International Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 705,803 2,862,318 _____________ South Korea - 3.2% 3,500 E-Mart, Inc. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 561,608 2,220 Samsung Electronics Co., Ltd., Preference Shares (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 2,052,142 2,613,750 _____________ Taiwan - 2.5% 150,005 Taiwan Mobile Co., Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455,545 368,954 Taiwan Semiconductor Manufacturing Co., Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 1,591,757 2,047,302 _____________ Thailand - 2.0% 67,700 Siam Cement Public (The) Co., Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 854,429 230,600 Siam Commercial Bank Public Co., Ltd. (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 760,668 1,615,097 _____________ Turkey - 2.5% 188,635 Akbank TAS (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 432,544 40,444 BIM Birlesik Magazalar AS (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 711,901 146,150 Haci Omer Sabanci Holding AS (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 414,308 192,000 Turkiye Garanti Bankasi AS (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 467,744 2,026,497 _____________ United Kingdom - 0.7% 70,040 Standard Chartered PLC (c) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 581,132 United States - 1.0% 10,500 Yum! Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 767,025 Total Common Stocks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 41,449,572 (Cost $38,381,674)

See Notes to Financial Statements

Page 9

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Principal Value (Local Stated Stated Value Currency) Description Coupon Maturity _____________ (US Dollars) _______________ ___________________________________________________________ _____________ _____________ FOREIGN SOVEREIGN BONDS AND NOTES - 41.2% Angola - 0.3% 227,000 Angolan Government International Bond (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Argentina - 2.5% 750,000 Argentina Bonar Bonds (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . 476,693 Argentine Republic Government International Bond (USD) (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 630,917 Argentine Republic Government International Bond (USD) (e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Armenia - 0.5% 396,000 Armenia International Bond (USD) (d) . . . . . . . . . . . . . . . . . . . . Brazil - 3.4% 1,800,000 Brazil Notas do Tesouro Nacional, Series F (BRL) . . . . . . . . . . . 12,710,000 Brazil Notas do Tesouro Nacional, Series F (BRL) . . . . . . . . . . . Chile - 0.3% 250,000 Empresa Nacional del Petroleo (USD) (d) . . . . . . . . . . . . . . . . . . Colombia - 0.5% 833,000,000 Colombia Government International Bond (COP) . . . . . . . . . . . 344,000,000 Colombia Government International Bond (COP) . . . . . . . . . . . Costa Rica - 0.3% 300,000 Costa Rica Government International Bond (USD) . . . . . . . . . . Dominican Republic - 1.1% 200,000 Dominican Republic International Bond (USD) . . . . . . . . . . . . . 141,000 Dominican Republic International Bond (USD) . . . . . . . . . . . . . 458,000 Dominican Republic International Bond (USD) . . . . . . . . . . . . . Egypt - 0.6% 540,000 Egypt Government International Bond (USD) (d) . . . . . . . . . . . . Ethiopia - 0.9% 790,000 Ethiopia International Bond (USD) (d) . . . . . . . . . . . . . . . . . . . . Gabon - 0.2% 200,000 Gabon Government International Bond (USD) (d) . . . . . . . . . . . Georgia - 0.4% 350,000 Georgian Oil and Gas Corp. JSC (USD) (d) . . . . . . . . . . . . . . . . Ghana - 0.6% 300,000 Ghana Government International Bond (USD) . . . . . . . . . . . . . . 350,000 Ghana Government International Bond (USD) (d) . . . . . . . . . . . Honduras - 0.8% 630,000 Honduras Government International Bond (USD) (d) . . . . . . . . Hungary - 1.2% 239,730,000 Hungary Government Bond (HUF) . . . . . . . . . . . . . . . . . . . . . . .

Page 10

See Notes to Financial Statements

9.50%

11/12/25

$_____________ 211,678

7.00%

04/17/17

760,584

8.28%

12/31/33

537,471

8.28%

12/31/33

728,709 _____________ 2,026,764 _____________

6.00%

09/30/20

385,795 _____________

10.00% 10.00%

01/01/17 01/01/25

4.38%

10/30/24

240,621 _____________

7.75% 9.85%

04/14/21 06/28/27

268,963 124,239 _____________ 393,202 _____________

4.25%

01/26/23

264,000 _____________

7.50% 5.88% 8.63%

05/06/21 04/18/24 04/20/27

215,000 141,000 534,715 _____________ 890,715 _____________

5.88%

06/11/25

470,043 _____________

6.63%

12/11/24

703,416 _____________

6.95%

06/16/25

159,778 _____________

6.88%

05/16/17

356,090 _____________

8.13% 8.13%

01/18/26 01/18/26

7.50%

03/15/24

666,225 _____________

5.50%

06/24/25

969,111 _____________

433,397 2,300,519 _____________ 2,733,916 _____________

235,500 274,750 _____________ 510,250 _____________

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Principal Value (Local Stated Stated Value Currency) Description Coupon Maturity _____________ (US Dollars) _______________ ___________________________________________________________ _____________ _____________ FOREIGN SOVEREIGN BONDS AND NOTES (Continued) 470,000 7,000,000,000 7,311,000,000 440,000

Indonesia - 2.3% Indonesia Government International Bond (USD) (d) . . . . . . . . Indonesia Treasury Bond (IDR) . . . . . . . . . . . . . . . . . . . . . . . . . . Indonesia Treasury Bond (IDR) . . . . . . . . . . . . . . . . . . . . . . . . . . Pertamina Persero PT (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . .

Iraq - 0.7% 880,000 Iraq International Bond (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . Ivory Coast - 0.9% 240,000 Ivory Coast Government International Bond (USD) (d) . . . . . . . 570,000 Ivory Coast Government International Bond (USD) . . . . . . . . . . Jamaica - 0.6% 477,000 Jamaica Government International Bond (USD) . . . . . . . . . . . . . Kazakhstan - 2.2% 670,000 Kazakhstan Government International Bond (USD) (d) . . . . . . . 480,000 KazMunayGas National Co., JSC (USD) . . . . . . . . . . . . . . . . . . 603,000 KazMunayGas National Co., JSC (USD) . . . . . . . . . . . . . . . . . .

5.88% 5.25% 8.38% 4.30%

01/15/24 05/15/18 03/15/34 05/20/23

$

504,693 470,155 498,872 401,095 _____________ 1,874,815 _____________

5.80%

01/15/28

596,209 _____________

6.38% 5.75%

03/03/28 12/31/32

219,590 509,848 _____________ 729,438 _____________

7.88%

07/28/45

465,075 _____________

3.88% 9.13% 7.00%

10/14/24 07/02/18 05/05/20

631,475 529,661 640,189 _____________ 1,801,325 _____________

Kenya - 0.2% 200,000 Kenya Government International Bond (USD) . . . . . . . . . . . . . . Mexico - 2.9% 7,800,000 Mexican Bonos (MXN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,370,000 Mexican Bonos (MXN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,590,000 Mexican Bonos (MXN) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.88%

06/24/24

176,000 _____________

6.50% 7.50% 8.50%

06/09/22 06/03/27 11/18/38

466,827 465,269 1,409,569 _____________ 2,341,665 _____________

Mongolia - 1.1% 580,000 Development Bank of Mongolia LLC (USD) . . . . . . . . . . . . . . . 400,000 Mongolia Government International Bond (USD) . . . . . . . . . . .

5.75% 5.13%

03/21/17 12/05/22

Poland - 1.9% 4,050,000 Poland Government Bond (PLN) . . . . . . . . . . . . . . . . . . . . . . . . . 1,670,000 Poland Government Bond (PLN) . . . . . . . . . . . . . . . . . . . . . . . . .

4.75% 4.00%

04/25/17 10/25/23

1,075,364 461,771 _____________ 1,537,135 _____________

Romania - 2.1% 3,300,000 Romania Government Bond (RON) . . . . . . . . . . . . . . . . . . . . . . . 700,000 Romanian Government International Bond (USD) . . . . . . . . . . .

5.80% 6.75%

07/26/27 02/07/22

912,714 823,851 _____________ 1,736,565 _____________

Russia - 3.3% Russian Federal Bond - OFZ (RUB) . . . . . . . . . . . . . . . . . . . . . . Russian Federal Bond - OFZ (RUB) . . . . . . . . . . . . . . . . . . . . . . Russian Foreign Bond - Eurobond (USD) . . . . . . . . . . . . . . . . . . Vnesheconombank Via VEB Finance PLC (USD) . . . . . . . . . . .

7.50% 7.05% 4.88% 6.90%

03/15/18 01/19/28 09/16/23 07/09/20

450,222 1,480,883 203,625 517,647 _____________ 2,652,377 _____________

34,200,000 129,026,000 200,000 510,000

See Notes to Financial Statements

556,061 319,647 _____________ 875,708 _____________

Page 11

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Principal Value (Local Stated Stated Value Currency) Description Coupon Maturity _____________ (US Dollars) _______________ ___________________________________________________________ _____________ _____________ FOREIGN SOVEREIGN BONDS AND NOTES (Continued) Rwanda - 0.6% 300,000 Rwanda International Government Bond (USD) . . . . . . . . . . . . . 200,000 Rwanda International Government Bond (USD) (d) . . . . . . . . . . Senegal - 0.5% 380,000 Senegal Government International Bond (USD) . . . . . . . . . . . . . South Africa - 1.8% 460,000 Eskom Holdings SOC Ltd. (USD) . . . . . . . . . . . . . . . . . . . . . . . . 210,000 Eskom Holdings SOC Ltd. (USD) (d) . . . . . . . . . . . . . . . . . . . . . 6,813,023 South Africa Government Bond (ZAR) . . . . . . . . . . . . . . . . . . . . 7,860,000 South Africa Government Bond (ZAR) . . . . . . . . . . . . . . . . . . . .

6.63% 6.63%

05/02/23 05/02/23

$

287,401 191,601 _____________ 479,002 _____________

8.75%

05/13/21

399,950 _____________

7.13% 6.75% 10.50% 8.00%

02/11/25 08/06/23 12/21/26 01/31/30

400,200 183,225 466,184 431,529 _____________ 1,481,138 _____________

Tanzania - 0.3% 300,000 Tanzania Government International Bond (USD) (f) . . . . . . . . . Turkey - 3.1% 1,600,000 Turkey Government Bond (TRY) . . . . . . . . . . . . . . . . . . . . . . . . . 2,650,000 Turkey Government Bond (TRY) . . . . . . . . . . . . . . . . . . . . . . . . . 1,050,000 Turkey Government International Bond (USD) . . . . . . . . . . . . . .

6.54%

03/09/20

284,220 _____________

6.30% 10.40% 6.25%

02/14/18 03/20/24 09/26/22

505,555 896,387 1,143,345 _____________ 2,545,287 _____________

Ukraine - 0.7% Ukraine Government International Bond (USD) (d) Ukraine Government International Bond (USD) (d) Ukraine Government International Bond (USD) (d) Ukraine Government International Bond (USD) (d)

7.75% 7.75% 7.75% 0.00%

09/01/20 09/01/21 09/01/24 05/31/40

274,725 105,059 102,340 75,905 _____________ 558,029 _____________

7.75%

10/05/20

497,562 _____________

7.63%

03/21/36

226,920

5.00%

09/14/18

479,681 _____________ 706,601 _____________

297,000 115,000 115,000 188,000

.......... .......... .......... ..........

United Arab Emirates - 0.6% 410,000 Emirate of Dubai Government International Bonds (USD) . . . . Uruguay - 0.9% 183,000 Uruguay Government International Bond (USD) . . . . . . . . . . . . 14,342,471 Uruguay Government International Bond, Inflation Adjusted Bond (UYU) (g) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Venezuela - 0.4% 810,000 Venezuela Government International Bond (USD) . . . . . . . . . . . 7.75% 10/13/19 326,025 _____________ Zambia - 0.5% 510,000 Zambia Government International Bond (USD) (d) . . . . . . . . . . 8.97% 07/30/27 406,062 _____________ Total Foreign Sovereign Bonds and Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 33,451,792 (Cost $38,981,483) FOREIGN CORPORATE BONDS AND NOTES (h) - 13.1% Bangladesh - 0.3% 250,000 Banglalink Digital Communications Ltd. (USD) (d) . . . . . . . . . . Barbados - 0.3% 250,000 Sagicor Finance 2015 Ltd. (USD) (d) . . . . . . . . . . . . . . . . . . . . .

Page 12

See Notes to Financial Statements

8.63%

05/06/19

259,375 _____________

8.88%

08/11/22

273,125 _____________

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Principal Value (Local Stated Stated Value Currency) Description Coupon Maturity _____________ (US Dollars) _______________ ___________________________________________________________ _____________ _____________ FOREIGN CORPORATE BONDS AND NOTES (h) (Continued) 520,000 350,000 200,000 280,000 610,000 460,908

Brazil - 1.9% Marfrig Overseas Ltd. (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . OAS Finance Ltd. (USD) (d) (e) (i) (j) . . . . . . . . . . . . . . . . . . . . OAS Investments GmbH (USD) (d) (e) (i) . . . . . . . . . . . . . . . . . Petrobras Global Finance BV (USD) . . . . . . . . . . . . . . . . . . . . . . Petrobras Global Finance BV (USD) . . . . . . . . . . . . . . . . . . . . . . QGOG Atlantic/Alaskan Rigs Ltd. (USD) . . . . . . . . . . . . . . . . . .

China - 0.3% 260,000 Future Land Development Holdings Ltd. (USD) . . . . . . . . . . . . Georgia - 0.6% 480,000 Georgian Railway JSC (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . Guatemala - 0.7% 200,000 Comcel Trust via Comunicaciones Celulares SA (USD) (d) . . . . 400,000 Industrial Subordinated Trust (USD) . . . . . . . . . . . . . . . . . . . . . .

9.50% 8.88% 8.25% 5.75% 5.38% 5.25%

05/04/20 (k) 10/19/19 01/20/20 01/27/21 07/30/18

$

512,200 19,250 11,000 220,500 455,975 318,027 _____________ 1,536,952 _____________

10.25%

07/21/19

281,838 _____________

7.75%

07/11/22

488,275 _____________

6.88% 8.25%

02/06/24 07/27/21

155,000 422,000 _____________ 577,000 _____________

Hong Kong - 0.3% 260,000 Shimao Property Holdings Ltd. (USD) . . . . . . . . . . . . . . . . . . . . India - 0.6% 270,000 ABJA Investment Co. Pte Ltd. (USD) . . . . . . . . . . . . . . . . . . . . . 260,000 ICICI Bank Ltd. (USD) (j) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8.38%

02/10/22

279,712 _____________

5.95% 6.38%

07/31/24 04/30/22

226,475 267,342 _____________ 493,817 _____________

Kazakhstan - 1.0% 480,000 Kazakhstan Temir Zholy (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . 400,000 Zhaikmunai LLP (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

6.38% 7.13%

10/06/20 11/13/19

Mexico - 1.6% Alfa SAB de CV (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CEMEX Espana S.A. (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sixsigma Networks Mexico S.A. de CV (USD) (d) . . . . . . . . . . Unifin Financiera SAPI de CV SOFOM ENR (USD) . . . . . . . .

6.88% 9.88% 8.25% 6.25%

03/25/44 04/30/19 11/07/21 07/22/19

251,775 371,875 384,000 268,250 _____________ 1,275,900 _____________

6.31%

09/11/20

533,360 _____________

6.25%

04/22/19

363,024 _____________

8.13%

01/24/19

357,875 _____________

5.25% 3.88% 5.88%

10/10/21 04/23/25 10/30/21

161,600 92,717 193,500 _____________ 447,817 _____________

270,000 350,000 400,000 290,000

Mozambique - 0.7% 637,000 EMATUM Via Mozambique EMATUM Finance 2020 BV (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Nigeria - 0.5% 400,000 Zenith Bank PLC (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Paraguay - 0.4% 350,000 Banco Regional SAECA (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . Peru - 0.6% 160,000 InRetail Consumer (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103,000 Southern Copper Corp. (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,000 Union Andina de Cementos SAA (USD) . . . . . . . . . . . . . . . . . . .

See Notes to Financial Statements

474,336 313,000 _____________ 787,336 _____________

Page 13

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (a) (Continued) December 31, 2015 Principal Value (Local Stated Stated Value Currency) Description Coupon Maturity _____________ (US Dollars) _______________ ___________________________________________________________ _____________ _____________ FOREIGN CORPORATE BONDS AND NOTES (h) (Continued) Russia - 1.8% Alfa Bank OJSC Via Alfa Bond Issuance PLC (USD) . . . . . . . . Evraz Group S.A. (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . Lukoil International Finance BV (USD) . . . . . . . . . . . . . . . . . . . Sberbank of Russia Via SB Capital S.A. (USD) . . . . . . . . . . . . .

7.75% 6.50% 4.56% 6.13%

04/28/21 04/22/20 04/24/23 02/07/22

Turkey - 0.6% 200,000 Arcelik AS (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000 Yasar Holdings AS (USD) (d) . . . . . . . . . . . . . . . . . . . . . . . . . . .

5.00% 8.88%

04/03/23 05/06/20

400,000 430,000 350,000 310,000

$

419,000 404,200 315,262 312,139 _____________ 1,450,601 _____________ 182,967 308,640 _____________ 491,607 _____________

United Arab Emirates - 0.8% 600,000 Jafz Sukuk Ltd. (USD) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00% 06/19/19 671,520 _____________ Venezuela - 0.1% 193,333 Petroleos de Venezuela S.A. (USD) . . . . . . . . . . . . . . . . . . . . . . . 8.50% 11/02/17 103,433 _____________ Total Foreign Corporate Bonds and Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 10,672,567 (Cost $11,687,793) Total Investments – 105.4% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (Cost $89,050,950) (l)

85,573,931

Outstanding Loans – (7.1%) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(5,800,000)

Net Other Assets and Liabilities – 1.7% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . _____________ 1,370,932 Net Assets – 100.0% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $_____________ 81,144,863 _____________ (a) (b) (c)

(d)

(e) (f) (g) (h) (i) (j) (k) (l)

All of these securities are available to serve as collateral for the outstanding loans. Non-income producing security. This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Trust’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At December 31, 2015, securities noted as such are valued at $31,603,628 or 38.95% of net assets. Certain of these securities are fair valued using a factor provided by an independent pricing service due to the change in value between the foreign markets’ close and the NYSE close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded. This security, sold within the terms of a private placement memorandum, is exempt from registration under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by the Fund’s investment advisor. At December 31, 2015, securities noted as such amounted to $9,757,222 or 12.02% of net assets. This issuer is in default and interest is not being accrued by the Fund. Floating rate security. The interest rate shown reflects the rate in effect at December 31, 2015. Security whose principal value is adjusted in accordance with changes to the country’s Consumer Price Index. Interest is calculated on the basis of the current adjusted principal value. Portfolio securities are included in a country based upon their underlying credit exposure as determined by Aberdeen Asset Management Inc., the Fund’s investment sub-advisor. This borrower has filed for protection in federal bankruptcy court. Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at December 31, 2015. At a predetermined date, the fixed rate will change to a floating rate or a variable rate. Perpetual maturity Aggregate cost for federal income tax purposes is $89,101,432. As of December 31, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $12,577,696 and the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $16,105,197.

ADR American Depositary Receipt

Page 14

See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (Continued) December 31, 2015 Currency Abbreviations: ARS Argentine Peso BRL Brazilian Real COP Colombian Peso EUR Euro GBP British Pound Sterling HKD Hong Kong Dollar HUF Hungarian Forint IDR Indonesian Rupiah INR Indian Rupee KRW South Korean Won MXN Mexican Peso

MYR PHP PLN RON RUB THB TRY TWD USD UYU ZAR

Malaysian Ringgit Philippines Peso Polish Zloty Romanian Leu Russian Ruble Thailand Baht Turkish Lira Taiwan New Dollar United States Dollar Uruguayan Peso South African Rand

Valuation Inputs A summary of the inputs used to value the Fund’s investments as of December 31, 2015 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):

________________________________________________

Total Value at 12/31/2015 ______________

Level 1 Quoted Prices ______________

Common Stocks: Brazil . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Chile . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Mexico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Russia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . United States . . . . . . . . . . . . . . . . . . . . . . . . . . . . Other Country Categories* . . . . . . . . . . . . . . . . . Total Common Stocks . . . . . . . . . . . . . . . . . . . . Foreign Sovereign Bonds and Notes* . . . . . . . . . . . . . Foreign Corporate Bonds and Notes* . . . . . . . . . . . . . Total Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . Forward Foreign Currency Contracts** . . . . . . . . . . . Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$ 3,191,512 537,297 664,020 3,825,237 1,657,135 767,025 30,807,346 _____________ 41,449,572 _____________ 33,451,792 10,672,567 _____________ 85,573,931 _____________ 34,768 _____________ $ 85,608,699 _____________ _____________

$ 3,191,512 537,297 664,020 3,825,237 860,853 767,025 — _____________ 9,845,944 _____________ — — _____________ 9,845,944 _____________ — _____________ $ 9,845,944 _____________ _____________

Level 2 Significant Observable Inputs ______________

Level 3 Significant Unobservable Inputs ______________

$

$

— — — — 796,282 — 30,807,346 _____________ 31,603,628 _____________ 33,451,792 10,672,567 _____________ 75,727,987 _____________ 34,768 _____________ $ 75,762,755 _____________ _____________

— — — — — — — _____________ — _____________ — — _____________ — _____________ — _____________ $_____________ — _____________

* See Portfolio of Investments for country breakout. ** See the Forward Foreign Currency Contracts table for contract and currency detail. All transfers in and out of the Levels during the period are assumed to be transferred on the last day of the period at their current value. There were no transfers between Levels at December 31, 2015.

See Notes to Financial Statements

Page 15

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Portfolio of Investments (Continued) December 31, 2015 Forward Foreign Currency Contracts (See Note 2C – Forward Foreign Currency Contracts in the Notes to Financial Statements).

Settlement Date ____________

Counterparty ____________

Forward Foreign Currency Contracts _______________________________________________________________ Purchase Sale Unrealized Amount Amount Value as of Value as of Appreciation Purchased (a) Sold (a) December 31, 2015 _______________ December 31, 2015 ____________ (Depreciation) __________________ ____________________ _______________

02/22/16 CIT ARS 4,641,000 USD 309,400 $ 339,935 $ 309,400 02/22/16 CIT INR 62,674,000 USD 934,875 939,108 934,875 Net Unrealized Appreciation (Depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (a)

$

30,535 4,233 ____________ $ 34,768 ____________ ____________

Please see Portfolio of Investments for currency descriptions.

See Note 2D – Offsetting on the Statement of Assets and Liabilities in the Notes to Financial Statements for a table that presents the forward foreign currency contracts’ assets and liability on a gross basis. Counterparty Abbreviations: CIT Citibank, NA Currency Exposure % of Total Diversification Investments † _______________________________________________ USD 40.6% INR 9.4 HKD 6.7 BRL 5.6 ZAR 4.4 MXN 4.3 TRY 4.0 IDR 3.3 RUB 3.2 KRW 3.0 PLN 2.6 TWD 2.4 PHP 2.0 THB 1.9 HUF 1.9 RON 1.1 MYR 0.9 GBP 0.7 EUR 0.6 UYU 0.5 COP 0.5 ARS 0.4 ____________________________________________ Total 100.0% ________ ________ † The weightings include the impact of currency forwards.

Page 16

See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Statement of Assets and Liabilities December 31, 2015 ASSETS: Investments, at value (Cost $89,050,950) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Foreign currency (Cost $226,159) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Unrealized appreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Receivables: Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Dividend reclaims . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

989,230 101,678 74,685 40,381 2,501 892 ______________

Total Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

87,276,637 ______________

LIABILITIES: Outstanding loan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Payables: Deferred foreign capital gains tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Audit and tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Printing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Interest and fees on loan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Financial reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Trustees’ fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Total Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET ASSETS consist of: Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Par value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Accumulated net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Accumulated net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) . . . . . . . . . . . . . . . . . . . . . . . Number of Common Shares outstanding (unlimited number of Common Shares has been authorized) . . . . . . .

See Notes to Financial Statements

$

85,573,931 232,739 225,832 34,768

5,800,000 114,110 75,612 58,200 40,939 14,261 12,470 6,022 5,518 1,433 771 50 2,388 ______________ 6,131,774 ______________ $ 81,144,863 ______________ ______________ $

84,782,817 52,893 (43,233) (66,383)

(3,581,231) ______________ $ 81,144,863 ______________ ______________ $ 15.34 ______________ ______________ 5,289,339 ______________ ______________

Page 17

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Statement of Operations For the Year Ended December 31, 2015 INVESTMENT INCOME: Interest (net of foreign withholding tax of $7,427) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Dividends (net of foreign withholding tax of $139,313) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Total investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

3,789,188 1,253,633 ______________ 5,042,821 ______________

EXPENSES: Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Administrative fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Audit and tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Interest and fees on loan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Printing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Foreign capital gains tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Trustees’ fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Financial reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1,000,417 183,361 101,329 68,432 67,272 38,329 33,190 19,754 17,115 12,425 9,250 40,196 ______________

Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$

NET INVESTMENT INCOME (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1,591,070 ______________ 3,451,751 ______________

NET REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

274,534 203,374 (5,040,950) ______________

Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(4,563,042) ______________

Net change in unrealized appreciation (depreciation) on: Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Foreign currency translation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net change in deferred foreign capital gains tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(9,039,270) 92,697 51,330 72,054 ______________

Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET REALIZED AND UNREALIZED GAIN (LOSS) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(8,823,189) ______________ (13,386,231) ______________

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . . .

$ (9,934,480) ______________ ______________

Page 18

See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Statements of Changes in Net Assets Year Ended 12/31/2015 _______________ OPERATIONS: Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Return of capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Total distributions to shareholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAPITAL TRANSACTIONS: Repurchase of Common Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net increase (decrease) in net assets resulting from capital transactions . . . . . . . . . . . . . . . . . . . . Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NET ASSETS: Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Year Ended 12/31/2014 _______________

$

3,451,751 $ 4,098,406 (4,563,042) (523,121) (8,823,189) (6,876,815) __________________ __________________ (9,934,480) __________________ (3,301,530) __________________ — (1,678,391) — (2,365,537) (7,445,649) __________________ (3,414,971) __________________ (7,445,649) (7,458,899) __________________ __________________ (527,625) __________________ — __________________ (527,625) __________________ — __________________ (17,907,754) (10,760,429)

End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

99,052,617 __________________ $ 81,144,863 __________________ __________________

Accumulated net investment income (loss) at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$ (43,233) __________________ $ 42,897 __________________ __________________ __________________

CAPITAL TRANSACTIONS were as follows: Common Shares at beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Common Shares repurchased* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Common Shares at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

109,813,046 __________________ $ 99,052,617 __________________ __________________

5,327,785 5,327,785 (38,446) __________________ — __________________ 5,289,339 5,327,785 __________________ __________________ __________________ __________________

* On September 15, 2015, the Fund commenced a Share Repurchase Program. The program will continue until the earlier of (i) the repurchase of 266,389 common shares, or (ii) six months from implementation of the Fund’s Share Repurchase Program. Since September 15, 2015, the Fund repurchased 38,446 of its shares at a weighted-average discount of 15.14% from net asset value per share. The Fund expects to repurchase its oustanding shares until the earlier of (i) the repurchase of an additional 227,943 common shares (for an aggregate of 266,389), or (ii) March 15, 2016.

See Notes to Financial Statements

Page 19

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Statement of Cash Flows For the Year Ended December 31, 2015 Cash flows from operating activities: Net increase (decrease) in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: Purchases of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Sales, maturities and paydowns of investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net amortization/accretion of premiums/discounts on investments . . . . . . . . . . . . . . . . Net realized gain/loss on investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net realized gain/loss on foreign currency transactions (a) . . . . . . . . . . . . . . . . . . . . . . Net change in unrealized appreciation/depreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net change in unrealized appreciation/depreciation on investments . . . . . . . . . . . . . . . Changes in assets and liabilities: Decrease in interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in interest and fees on loan payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in investment advisory fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in legal fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in transfer agent fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in printing fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in administrative fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in custodian fees payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in Trustees’ fees and expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Decrease in deferred foreign capital gain tax . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Increase in other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$

(9,934,480)

(43,033,841) 46,146,327 (200,527) (274,534) 4,717,106 (92,697) 9,039,270 241,184 (30,004) (2,132) (5,203) (15,409) 508 28 (599) (26,112) (18,232) 47 (72,054) 1,892 ____________________

Cash used in operating activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cash flows from financing activities: Repurchase of Common Shares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Distributions to Common Shareholders from return of capital . . . . . . . . . . . . . . . . . . .

$ 6,440,538 ____________________ (527,625) (7,445,649) ____________________

Cash used in financing activities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(7,973,274) ____________________

Decrease in cash and foreign currency (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Cash and foreign currency at beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(1,532,736) 1,991,307 ____________________

Cash and foreign currency at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$ 458,571 ____________________ ____________________

Supplemental disclosure of cash flow information: Cash paid during the period for interest and fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$ 72,475 ____________________ ____________________

(a) This amount is a component of net realized gain/(loss) on foreign currency transactions as shown on the Statement of Operations. (b) Includes net change in unrealized appreciation (depreciation) on foreign currency of $51,330.

Page 20

See Notes to Financial Statements

First Trust/Aberdeen Emerging Opportunity Fund (FEO) Financial Highlights For a Common Share outstanding throughout each period Year Ended December 31, _______________________________________________________________________ 2015 2014 2013 2012 2011 ___________ ___________ ___________ ___________ ___________ Net asset value, beginning of period . . . . . . . . . . . Income from investment operations: Net investment income (loss) . . . . . . . . . . . . . . . . Net realized and unrealized gain (loss) . . . . . . . . . Total from investment operations . . . . . . . . . . . . . Distributions paid to shareholders from: Net investment income . . . . . . . . . . . . . . . . . . . . . Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . Return of capital . . . . . . . . . . . . . . . . . . . . . . . . . . . Total from distributions . . . . . . . . . . . . . . . . . . . . . Common share repurchases . . . . . . . . . . . . . . . . . . Net asset value, end of period . . . . . . . . . . . . . . . .

$ 18.59 _________

$ 20.61 _________

$ 23.67 _________

$ 20.30 _________

$ 22.77 _________

0.65 (2.52) _________ (1.87) _________

0.77 (1.39) _________ (0.62) _________

0.79 (2.45) _________ (1.66) _________

0.90 3.87 _________ 4.77 _________

0.98 (2.05) _________ (1.07) _________

— — (1.40) _________ (1.40) _________ 0.02 _________ $ 15.34 _________ _________

(0.32) (0.44) (0.64) _________ (1.40) _________ — _________ $ 18.59 _________ _________

(0.76) (0.64) — _________ (1.40) _________ — _________ $ 20.61 _________ _________

(0.88) (0.52) — _________ (1.40) _________ — _________ $ 23.67 _________ _________

(0.74) (0.66) — _________ (1.40) _________ — _________ $ 20.30 _________ _________

Market value, end of period . . . . . . . . . . . . . . . . . . Total return based on net asset value (a) . . . . .

$ 13.06 _________ _________ (9.16)% _________ _________

$ 16.45 _________ _________ (2.49)% _________ _________

$ 18.05 _________ _________ (6.49)% _________ _________

$ 22.05 _________ _________ 24.36% _________ _________

$ 17.82 _________ _________ (4.18)% _________ _________

Total return based on market value (a) . . . . . . .

(12.61)% _________ _________

(1.47)% _________ _________

(12.13)% _________ _________

32.02% _________ _________

(10.17)% _________ _________

——————————————————————— Ratios to average net assets/supplemental data: Net assets, end of period (in 000’s) . . . . . . . . . . . . Ratio of expenses to average net assets . . . . . . . . Ratio of total expenses to average net assets excluding interest expense . . . . . . . . . . . . . . . . . Ratio of net investment income (loss) to average net assets . . . . . . . . . . . . . . . . . . . . . . . . Portfolio turnover rate . . . . . . . . . . . . . . . . . . . . . . Indebtedness: Total loan outstanding (in 000’s) . . . . . . . . . . . . . . Asset coverage per $1,000 senior indebtedness (b) . . . . . . . . . . . . . . . . . . . . . . . . .

$ 81,145 1.69%

$ 99,053 1.71%

$ 109,813 1.75%

$ 126,093 1.78%

$ 108,174 1.68%

1.62%

1.64%

1.68%

1.70%

1.61%

3.66% 44%

3.73% 48%

3.57% 50%

4.04% 49%

4.47% 51%

$

5,800

$ 14,990

$

5,800

$ 18,078

$

5,800

$ 19,933

$

5,800

$ 22,740

$

5,800

$ 19,651

——————————————————————— (a) Total return is based on the combination of reinvested dividend, capital gain and return of capital distributions, if any, at prices obtained by the Dividend Reinvestment Plan, and changes in net asset value per share for net asset value returns and changes in Common Share price for market value returns. Total returns do not reflect sales load and are not annualized for periods of less than one year. Past performance is not indicative of future results. (b) Calculated by subtracting the Fund’s total liabilities (not including the loan outstanding) from the Fund’s total assets, and dividing by the outstanding loan balance in 000’s.

See Notes to Financial Statements

Page 21

Notes to Financial Statements First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 1. Organization First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”) is a diversified, closed-end management investment company organized as a Massachusetts business trust on May 16, 2006 and is registered with the Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund trades under the ticker symbol FEO on the New York Stock Exchange (“NYSE”). The Fund’s investment objective is to seek a high level of total return. The Fund pursues its objective by investing at least 80% of its Managed Assets in a diversified portfolio of equity and fixed-income securities of issuers in emerging market countries. “Managed Assets” means the total asset value of the Fund minus the sum of the Fund’s liabilities other than the principal amount of borrowings, if any. There can be no assurance that the Fund will achieve its investment objective.

2. Significant Accounting Policies The Fund, which is an investment company within the scope of Financial Accounting Standards Board (“FASB”) Accounting Standards Update 2013-08, follows accounting and reporting guidance under FASB Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Portfolio Valuation The net asset value (“NAV”) of the Common Shares of the Fund is determined daily, as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The Fund’s NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding. The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Fund’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows: Corporate bonds, corporate notes and other debt securities are valued on the basis of valuations provided by dealers who make markets in such securities or by an independent pricing service approved by the Fund’s Board of Trustees, which may use the following valuation inputs when available: 1) 2) 3) 4) 5) 6) 7)

benchmark yields; reported trades; broker/dealer quotes; issuer spreads; benchmark securities; bids and offers; and reference data including market research publications.

Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following: 1) 2) 3) Page 22

the credit conditions in the relevant market and changes thereto; the liquidity conditions in the relevant market and changes thereto; the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

4) 5)

issuer-specific conditions (such as significant credit deterioration); and any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.

Common stocks and other securities listed on any national or foreign exchange (excluding The Nasdaq® Stock Market, LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities. Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked prices, if available, and otherwise at their closing bid price. Forward foreign currency contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent pricing service. Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Fund’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following: 1) 2) 3) 4) 5) 6) 7) 8) 9) 10) 11) 12) 13)

the fundamental business data relating to the issuer, or economic data relating to the country of issue; an evaluation of the forces which influence the market in which these securities are purchased and sold; the type, size and cost of security; the financial statements of the issuer, or the financial condition of the country of issue; the credit quality and cash flow of the issuer, or country of issue, based on the Sub-Advisor’s or external analysis; the information as to any transactions in or offers for the security; the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies; the coupon payments; the quality, value and salability of collateral, if any, securing the security; the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only); the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only); the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and other relevant factors.

Fair valuation of an equity security will be based on the consideration of all available information, including, but not limited to the following: 1) 2) 3) 4) 5) 6) 7)

the type of security; the size of the holding; the initial cost of the security; transactions in comparable securities; price quotes from dealers and/or pricing services; relationships among various securities; information obtained by contacting the issuer, analysts, or the appropriate stock exchange;

Page 23

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

8) 9)

an analysis of the issuer’s financial statements; and the existence of merger proposals or tender offers that might affect the value of the security.

If the equity security in question is a foreign security, the following additional information may be considered: 1) 2) 3) 4) 5) 6) 7) 8)

the value of similar foreign securities traded on other foreign markets; ADR trading of similar securities; closed-end fund trading of similar securities; foreign currency exchange activity; the trading prices of financial products that are tied to baskets of foreign securities; factors relating to the event that precipitated the pricing problem; whether the event is likely to recur; and whether the effects of the event are isolated or whether they affect entire markets, countries or regions.

Because foreign markets may be open on different days than the days during which investors may transact in the shares of the Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE. The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows: • Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis. • Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following: o Quoted prices for similar investments in active markets. o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly. o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates). o Inputs that are derived principally from or corroborated by observable market data by correlation or other means. • Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of December 31, 2015, is included with the Fund’s Portfolio of Investments.

B. Securities Transactions and Investment Income Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis. Amortization of premiums and accretion of discounts are recorded by using the effective interest method. Securities purchased on a when-issued, delayed-delivery or forward commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At December 31, 2015, the Fund had no when-issued, delayed-delivery or forward purchase commitments.

C. Forward Foreign Currency Contracts The Fund is subject to foreign currency risk in the normal course of pursuing its investment objective. Forward foreign currency contracts are agreements between two parties (“Counterparties”) to exchange one currency for another at a future date and at a specified price. The Fund uses forward foreign currency contracts to facilitate transactions in foreign securities and to manage the Fund’s foreign currency exposure. These contracts are valued daily, and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in “Unrealized appreciation/(depreciation) on forward foreign currency contracts” on the Statement of Assets Page 24

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

and Liabilities. The change in unrealized appreciation/(depreciation) is included in “Net change in unrealized appreciation (depreciation) on forward foreign currency contracts” on the Statement of Operations. When the forward contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or the cost of) the closing transaction and the Fund’s basis in the contract. This realized gain or loss is included in “Net realized gain (loss) on forward foreign currency contracts” on the Statement of Operations. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Due to the risks, the Fund could incur losses in excess of the net unrealized value shown on the Forward Foreign Currency Contracts table in the Portfolio of Investments. In the event of default by the Counterparty, the Fund will provide notice to the Counterparty of the Fund’s intent to convert the currency held by the Fund into the currency that the Counterparty agreed to exchange with the Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.

D. Offsetting on the Statement of Assets and Liabilities Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statement of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions. For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statement of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency) for the non-defaulting Counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral. At December 31, 2015, derivative assets and liabilities (by type) on a gross basis are as follows:

Gross amounts of Recognized Assets Forward Foreign Currency Contracts*

$ 34,768

Gross Amounts Offset in the Statement of Assets and Liabilities $



Net Amounts of Assets Presented in the Statement of Assets and Liabilities $ 34,768

Gross Amounts not Offset in the Statement of Assets and Liabilities Collateral Financial Amounts Instruments Received $



$

Net Amount



$ 34,768

* The respective counterparties for each contract are disclosed in the Forward Foreign Currency Contracts table in the Portfolio of Investments.

E. Foreign Currency The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions. Unrealized gains and losses on assets and liabilities, other than investments in securities, which result from changes in foreign currency exchange rates have been included in “Net change in unrealized appreciation (depreciation) on foreign currency translation” on the Statement of Operations. Unrealized gains and losses on investments in securities which result from changes in foreign exchange rates are included with fluctuations arising from changes in market price and are shown in “Net change in unrealized appreciation (depreciation) on investments” on the Statement of Operations. Net realized foreign currency gains and losses include the effect of changes in exchange rates between trade date and settlement date on investment security transactions, foreign currency transactions and interest and dividends received and are shown in “Net realized gain (loss) on foreign currency transactions” on the Statement of Operations. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase settlement date and subsequent sale trade date is included in “Net realized gain (loss) on foreign currency transactions” on the Statement of Operations.

Page 25

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

F. Dividends and Distributions to Shareholders Level dividend distributions are declared and paid quarterly to Common Shareholders after the payment of interest and/or dividends in connection with leverage. The level dividend rate may be modified by the Board of Trustees from time to time. If, for any quarterly distribution, net investment company taxable income, if any (which term includes net short-term capital gain), is less than the amount of the distribution, the difference will generally be a tax-free return of capital distributed from the Fund’s assets. Distributions of any net long-term capital gains earned by the Fund are distributed at least annually. Distributions will automatically be reinvested into additional Common Shares pursuant to the Fund’s Dividend Reinvestment Plan unless cash distributions are elected by the shareholder. Distributions from income and capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on portfolio securities held by the Fund and have no impact on net assets or NAV per Common Share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some point in the future. Permanent differences incurred during the year ended December 31, 2015, primarily as a result of differing book and tax treatment on realization of foreign currency gains (losses), have been reclassified at year end to reflect a decrease to accumulated net investment income (loss) of $3,537,881, an increase to accumulated net realized gain (loss) of $4,750,402 and a decrease to paid-in-capital of $1,212,521. Net assets were not affected by these reclassifications. The tax character of distributions paid during the fiscal years ended December 31, 2015, and December 31, 2014 was as follows: Distributions paid from: Ordinary income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Capital gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Return of capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2015 $

— — 7,445,649

$

2014 1,761,380 2,282,548 3,414,971

As of December 31, 2015, the distributable earnings and net assets on a tax basis were as follows: Accumulated capital and other losses . . . . . . . . . . . . . . . Net unrealized appreciation (depreciation) . . . . . . . . . . . Total accumulated earnings (losses) . . . . . . . . . . . . . . . . Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Net assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

(29,495) (3,635,946) ___________________ (3,665,441) (25,406) 84,835,710 ___________________ $ 81,144,863 ___________________ ___________________

G. Income and Other Taxes The Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal or state income taxes. However, due to the timing and amount of distributions, the Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of the Fund’s taxable income exceeds the distributions from such taxable income for the calendar year. Certain countries assess a capital gains tax on securities sold in their local markets. This tax is accrued as the securities in these foreign markets appreciate in value and is paid at the time of sale to the extent a capital gain is realized. Taxes accrued on securities in an unrealized appreciation position are included in “Net change in unrealized appreciation (depreciation)” on the Statement of Operations. The capital gains tax paid on securities sold is included in “Foreign capital gains tax” on the Statement of Operations. The Fund intends to utilize provisions of the federal income tax laws which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. The Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At December 31, 2015, the Fund had no non-expiring capital loss carryforwards for federal income tax purposes. Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended December 31, 2015, the Fund incurred and elected to defer capital losses of $29,495. The Fund is subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. Taxable years ended 2012, 2013, 2014, and 2015 remain open to federal and state audit. As of December 31, 2015, management has evaluated the application of these standards to the Fund and has determined that no provision for income tax is required in the Fund’s financial statements for uncertain tax positions. Page 26

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

H. Expenses The Fund will pay all expenses directly related to its operations.

3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements First Trust, the investment advisor to the Fund, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the ongoing monitoring of the Fund’s investment portfolio, managing the Fund’s business affairs and providing certain administrative services necessary for the management of the Fund. For these services, First Trust is entitled to a monthly fee calculated at an annual rate of 1.00% of the Fund’s Managed Assets. First Trust also provides fund reporting services to the Fund for a flat annual fee in the amount of $9,250. Aberdeen Asset Management Inc. (“Aberdeen” or the “Sub-Advisor”) serves as the Fund’s sub-advisor and manages the Fund’s portfolio subject to First Trust’s supervision. The Sub-Advisor receives a monthly portfolio management fee calculated at an annual rate of 0.50% of the Fund’s Managed Assets that is paid by First Trust out of its investment advisory fee. BNY Mellon Investment Servicing (US) Inc. (“BNYM IS”) serves as the Fund’s Administrator, Fund Accountant and Transfer Agent in accordance with certain fee arrangements. As administrator and fund accountant, BNYM IS is responsible for providing certain administrative and accounting services to the Fund, including maintaining the Fund’s books of account, records of the Fund’s securities transactions, and certain other books and records. As transfer agent, BNYM IS is responsible for maintaining shareholder records for the Fund. The Bank of New York Mellon (“BNYM”) serves as the Fund’s Custodian in accordance with certain fee arrangements. As custodian, BNYM is responsible for custody of the Fund’s assets. BNYM IS and BNYM are subsidiaries of The Bank of New York Mellon Corporation, a financial holding company. At a meeting on December 7, 2015, the Board accepted Mr. Bradley’s resignation from his position as the President and Chief Executive Officer of the Fund, effective December 31, 2015. At the same meeting, the Board elected Mr. Dykas, formerly Chief Financial Officer and Treasurer of the Fund, to serve as the President and Chief Executive Officer and Mr. Swade, formerly an Assistant Treasurer of the Fund, to serve as the Treasurer, Chief Financial Officer and Chief Accounting Officer of the Fund. Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, or is an index fund. Additionally, the Lead Independent Trustee and the Chairmen of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairmen rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.

4. Purchases and Sales of Securities Cost of purchases and proceeds from sales of investments, excluding short-term investments, for the year ended December 31, 2015, were $42,791,093 and $46,221,012, respectively.

5. Derivatives Transactions The following table presents the type of derivative held by the Fund at December 31, 2015, the primary underlying risk exposure and location of these instruments as presented on the Statement of Assets and Liabilities. Asset Derivatives ____________________________________ Derivative Statement of Assets and Instrument Risk Exposure ______________________ Liabilities Location Value ________________ ________________ ______________ Unrealized appreciation Forward foreign on forward foreign currency contracts Currency Risk currency contracts $ 34,768

Liability Derivatives ______________________________________ Statement of Assets and Liabilities Location Value _______________________ ______________ Unrealized depreciation on forward foreign currency contracts $ —

Page 27

Notes to Financial Statements (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015

The following table presents the amount of net realized gain(loss) and change in net unrealized appreciation (depreciation) recognized for the year ended December 31, 2015, on derivative instruments, as well as the primary underlying risk exposure associated with each instrument. Statement of Operations Location ________________________________________________________________________ Currency Risk Exposure Net realized gain (loss) on forward foreign currency contracts $ 203,374 Net change in unrealized appreciation (depreciation) on forward foreign currency contracts $ 92,697 During the year ended December 31, 2015, notional values of forward foreign currency contracts opened and closed were $42,710,184 and $60,872,649, respectively.

6. Borrowings The Fund has entered into a credit agreement with The Bank of Nova Scotia, which provides for a revolving credit facility to be used as leverage for the Fund. The revolving credit facility provides for a secured line of credit for the Fund where Fund assets are pledged against advances made to the Fund. Under the requirements of the 1940 Act, the Fund, immediately after any such borrowings, must have an “asset coverage” of at least 300% (33-1/3% of the Fund’s total assets after borrowings). Effective November 6, 2015, the credit facility was amended, whereby the expiration date was extended until November 4, 2016, and the total commitment was reduced from $15,000,000 to $10,000,000. The borrowing rate under the revolving credit facility is equal to the 1-month LIBOR plus 75 basis points. As of December 31, 2015, the Fund had one loan outstanding under the revolving credit facility totaling $5,800,000. For the year ended December 31, 2015, the average amount outstanding was $5,800,000. The high and low annual interest rates during the year ended December 31, 2015 were 1.07% and 0.92%, respectively, and the weighted average interest rate was 0.95%. The interest rate at December 31, 2015 was 1.07%. The Fund pays a commitment fee of 0.15% (or 0.25% if loan balance drops below 75% of total commitment) per year, which is included in “Interest and fees on loan” on the Statement of Operations. Prior to November 6, 2015, the Fund paid a commitment fee of 0.15% (or 0.30% if the loan balance dropped below 40% of the total commitment) per year.

7. Indemnification The Fund has a variety of indemnification obligations under contracts with its service providers. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

8. Subsequent Events Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there was the following subsequent event: Effective January 1, 2016, the fixed annual retainer paid to the Independent Trustees will be allocated equally among each fund in the First Trust Fund Complex and will no longer be allocated pro rata based on each Fund’s net assets.

Page 28

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of First Trust/Aberdeen Emerging Opportunity Fund: We have audited the accompanying statement of assets and liabilities of First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”), including the portfolio of investments, as of December 31, 2015, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2015 by correspondence with the Fund’s custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of First Trust/Aberdeen Emerging Opportunity Fund, as of December 31, 2015, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Chicago, Illinois February 23, 2016

Page 29

Additional Information First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited) Dividend Reinvestment Plan If your Common Shares are registered directly with the Fund or if you hold your Common Shares with a brokerage firm that participates in the Fund’s Dividend Reinvestment Plan (the “Plan”), unless you elect, by written notice to the Fund, to receive cash distributions, all dividends, including any capital gain distributions, on your Common Shares will be automatically reinvested by BNY Mellon Investment Servicing (US) Inc. (the “Plan Agent”), in additional Common Shares under the Plan. If you elect to receive cash distributions, you will receive all distributions in cash paid by check mailed directly to you by the Plan Agent, as the dividend paying agent. If you decide to participate in the Plan, the number of Common Shares you will receive will be determined as follows: (1)

If Common Shares are trading at or above net asset value (“NAV”) at the time of valuation, the Fund will issue new shares at a price equal to the greater of (i) NAV per Common Share on that date or (ii) 95% of the market price on that date.

(2)

If Common Shares are trading below NAV at the time of valuation, the Plan Agent will receive the dividend or distribution in cash and will purchase Common Shares in the open market, on the NYSE or elsewhere, for the participants’ accounts. It is possible that the market price for the Common Shares may increase before the Plan Agent has completed its purchases. Therefore, the average purchase price per share paid by the Plan Agent may exceed the market price at the time of valuation, resulting in the purchase of fewer shares than if the dividend or distribution had been paid in Common Shares issued by the Fund. The Plan Agent will use all dividends and distributions received in cash to purchase Common Shares in the open market within 30 days of the valuation date except where temporary curtailment or suspension of purchases is necessary to comply with federal securities laws. Interest will not be paid on any uninvested cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving written notice to the Plan Agent, or by telephone at (866) 340-1104, in accordance with such reasonable requirements as the Plan Agent and the Fund may agree upon. If you withdraw or the Plan is terminated, you will receive a certificate for each whole share in your account under the Plan, and you will receive a cash payment for any fraction of a share in your account. If you wish, the Plan Agent will sell your shares and send you the proceeds, minus brokerage commissions. The Plan Agent maintains all Common Shareholders’ accounts in the Plan and gives written confirmation of all transactions in the accounts, including information you may need for tax records. Common Shares in your account will be held by the Plan Agent in non-certificated form. The Plan Agent will forward to each participant any proxy solicitation material and will vote any shares so held only in accordance with proxies returned to the Fund. Any proxy you receive will include all Common Shares you have received under the Plan. There is no brokerage charge for reinvestment of your dividends or distributions in Common Shares. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Capital gains and income are realized although cash is not received by you. Consult your financial advisor for more information. If you hold your Common Shares with a brokerage firm that does not participate in the Plan, you will not be able to participate in the Plan and any dividend reinvestment may be effected on different terms than those described above. The Fund reserves the right to amend or terminate the Plan if in the judgment of the Board of Trustees the change is warranted. There is no direct service charge to participants in the Plan; however, the Fund reserves the right to amend the Plan to include a service charge payable by the participants. Additional information about the Plan may be obtained by writing BNY Mellon Investment Servicing (US) Inc., 301 Bellevue Parkway, Wilmington, Delaware 19809.

Proxy Voting Policies and Procedures A description of the policies and procedures that the Fund uses to determine how to vote proxies and information on how the Fund voted proxies relating to portfolio investments during the most recent 12-month period ended December 31 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on the Fund’s website located at http://www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website located at http://www.sec.gov.

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Additional Information (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited) Portfolio Holdings The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q’s are available (1) by calling (800) 988-5891; (2) on the Fund’s website located at http://www.ftportfolios.com; (3) on the SEC’s website at http://www.sec.gov; and (4) for review and copying at the SEC’s Public Reference Room (“PRR”) in Washington, DC. Information regarding the operation of the PRR may be obtained by calling (800) SEC-0330.

Tax Information The Fund hereby designates as qualified dividend income 100% of its ordinary income distributions (including short-term capital gains, if applicable) for the year ended December 31, 2015. None of the ordinary income (including short-term capital gain, if applicable) distributions made by the Fund during the year ended December 31, 2015, qualify for corporate dividends received deduction available to corporate shareholders. The Fund meets the requirements of Section 853 of the Code, and elects to pass through to its shareholders credit for foreign taxes paid. The total amount of income received by the Fund from sources within foreign countries and possessions of the United States is $4,287,179 (representing a total of $0.81 per share). The total amount of taxes paid to such countries is $144,627 (representing a total of $0.03 per share).

NYSE Certification Information In accordance with Section 303A-12 of the New York Stock Exchange (“NYSE”) Listed Company Manual, the Fund’s President has certified to the NYSE that, as of April 29, 2015, he was not aware of any violation by the Fund of NYSE corporate governance listing standards. In addition, the Fund’s reports to the SEC on Forms N-CSR, N-CSRS and N-Q contain certifications by the Fund’s principal executive officer and principal financial officer that relate to the Fund’s public disclosure in such reports and are required by Rule 30a-2 under the 1940 Act.

Submission of Matters to a Vote of Shareholders The Joint Annual Meeting of Shareholders of the Common Shares of Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund, First Trust Energy Income and Growth Fund, First Trust Enhanced Equity Income Fund, First Trust/Aberdeen Global Opportunity Income Fund, First Trust Mortgage Income Fund, First Trust Strategic High Income Fund II, First Trust/Aberdeen Emerging Opportunity Fund, First Trust Specialty Finance and Financial Opportunities Fund, First Trust Dividend and Income Fund, First Trust High Income Long/Short Fund, First Trust Energy Infrastructure Fund, First Trust MLP and Energy Income Fund and First Trust Intermediate Duration Preferred & Income Fund was held on April 20, 2015 (the “Annual Meeting”). At the Annual Meeting, Richard E. Erickson and Thomas R. Kadlec were elected by the Common Shareholders of the First Trust/Aberdeen Emerging Opportunity Fund as Class II Trustees for a three-year term expiring at the Fund’s Annual Meeting of Shareholders in 2018. The number of votes cast for Mr. Erickson was 3,646,897, the number of votes against was 812,053 and the number of broker non-votes was 868,835. The number of votes cast for Mr. Kadlec was 3,646,657, the number of votes against was 812,293 and the number of broker non-votes was 868,835. James A. Bowen, Robert F. Keith and Niel B. Nielson are the other current and continuing Trustees.

Risk Considerations Risks are inherent in all investing. The following summarizes some, but not all, of the risks that should be considered for the Fund. For additional information about the risks associated with investing in the Fund, please see the Fund’s prospectus and statement of additional information, as well as other Fund regulatory filings. Investment and Market Risk: An investment in the Fund’s Common Shares is subject to investment risk, including the possible loss of the entire principal invested. An investment in Common Shares represents an indirect investment in the securities owned by the Fund, which include a global bond and equity portfolio of investment grade and below-investment grade government and corporate debt securities. The value of these securities, like other market investments, may move up or down, sometimes rapidly and unpredictably. Common Shares at any point in time may be worth less than the original investment, even after taking into account the reinvestment of Fund dividends and distributions. Security prices can fluctuate for several reasons including the general condition of the bond market, or when political or economic events affecting the issuers occur. When the Advisor or Sub-Advisor determines that it is temporarily unable to follow the Fund’s investment strategy or that it is impractical to do so (such as when a market disruption event has occurred and trading in the securities is extremely limited or absent), the Fund may take temporary defensive positions.

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Additional Information (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited)

Non-Investment Grade Securities Risk: The Fund may invest up to 80% of its Managed Assets in non-investment grade securities. Non-investment grade securities are rated below “Baa3” by Moody’s Investors Service, Inc., below “BBB-” by Standard & Poor’s, or comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Sub-Advisor to be of comparable credit quality. Non-investment grade debt instruments are commonly referred to as “high-yield” or “junk” bonds and are considered speculative with respect to the issuer’s capacity to pay interest and repay principal and are susceptible to default or decline in market value due to adverse economic and business developments. The market values for high-yield securities tend to be very volatile, and these securities are less liquid than investment grade debt securities. Emerging Markets Risk: Under normal market conditions, the Fund will invest at least 80% of its Managed Assets in equity or fixedincome securities of issuers located in countries considered to be emerging markets. Investments in such securities are considered speculative. In addition to the general risks of investing in non-U.S. securities, heightened risks of investing in emerging markets securities include: smaller market capitalization of securities markets, which may suffer periods of relative illiquidity; significant price volatility; restrictions on foreign investment; and possible restrictions on repatriation of investment income and capital. Furthermore, foreign investors may be required to register the proceeds of sales, and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization or creation of government monopolies. The currencies of emerging market countries may experience significant declines against the U.S. dollar, and devaluation may occur subsequent to investments in these currencies by the Fund. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries. Fixed-Income Securities Risk: Debt securities, including high-yield securities, are subject to certain risks, including: (i) issuer risk, which is the risk that the value of fixed-income securities may decline for a number of reasons which directly relate to the issuer, such as management performance, financial leverage and reduced demand for the issuer’s goods and services or; (ii) reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called bonds at market interest rates that are below the Fund portfolio’s current earnings rate; (iii) prepayment risk, which is the risk that during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the reinvestment in lower yielding securities; and (iv) credit risk, which is the risk that a security in the Fund’s portfolio will decline in price or the issuer fails to make interest payments when due because the issuer of the security experiences a decline in its financial status. Interest Rate Risk: The Fund’s portfolio is also subject to interest rate risk. Interest rate risk is the risk that fixed-income securities will decline in value because of changes in market interest rates. Investments in debt securities with long-term maturities may experience significant price declines if long-term interest rates increase. Non-U.S. Issuer Risk: Investments in the securities and instruments of non-U.S. issuers involve certain considerations and risks not ordinarily associated with investments in securities and instruments of U.S. issuers. Non-U.S. companies are not generally subject to uniform accounting, auditing and financial standards and requirements comparable to those applicable to U.S. companies. Non-U.S. securities exchanges, brokers and listed companies may be subject to less government supervision and regulation than exists in the United States. Dividend and interest income may be subject to withholding and other non-U.S. taxes, which may adversely affect the net return on such investments. There may be difficulty in obtaining or enforcing a court judgment abroad. Currency Risk: The value of securities denominated or quoted in foreign currencies may be adversely affected by fluctuations in the relative currency exchange rates and by exchange control regulations. The Fund’s investment performance may be negatively affected by a devaluation of a currency in which the Fund’s investments are denominated or quoted. Further, the Fund’s investment performance may be significantly affected, either positively or negatively, by currency exchange rates because the U.S. dollar value of securities denominated or quoted in another currency will increase or decrease in response to changes in the value of such currency in relation to the U.S. dollar. While certain of the Fund’s non-U.S. dollar-denominated securities may be hedged into U.S. dollars, hedging may not alleviate all currency risks. Leverage Risk: The use of leverage results in additional risks and can magnify the effect of any losses. The funds borrowed pursuant to a leverage borrowing program constitute a substantial lien and burden by reason of their prior claim against the income of the Fund and against the net assets of the Fund in liquidation. The rights of lenders to receive payments of interest on and repayments of principal on any borrowings made by the Fund under a leverage borrowing program are senior to the rights of holders of Common Shares with respect to payment of dividends or upon liquidation. If the Fund is not in compliance with certain credit facility provisions, the Fund may not be permitted to declare dividends or other distributions, including dividends and distributions with respect to Common Shares or purchase Common Shares. Government Securities Risk: The ability of a government issuer, especially in an emerging market country, to make timely and complete payments on its debt obligations will be strongly influenced by the government issuer’s balance of payments, including export performance, its access to international credits and investments, fluctuations of interest rates and the extent of its foreign reserves. A country whose exports are concentrated in a few commodities or whose economy depends on certain strategic imports could be vulnerable to fluctuations in international prices of these commodities or imports. To the extent that a country receives payment for its exports in

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Additional Information (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited)

currencies other than U.S. dollars, its ability to make debt payments denominated in U.S. dollars could be adversely affected. If a government issuer cannot generate sufficient earnings from foreign trade to service its external debt, it may need to depend on continuing loans and aid from foreign governments, commercial banks, and multinational organizations. There are no bankruptcy proceedings similar to those in the United States by which defaulted government debt may be collected. Additional factors that may influence a government issuer’s ability or willingness to service debt include, but are not limited to, a country’s cash flow situation, the availability of sufficient foreign exchange on the date a payment is due, the relative size of its debt service burden to the economy as a whole, and the issuer’s policy towards the International Monetary Fund, the International Bank for Reconstruction and Development and other international agencies to which a government debtor may be subject. Non-U.S. Government Securities Risk: Economies and social and political climates in individual countries may differ unfavorably from the United States. Non-U.S. economies may have less favorable rates of growth of gross domestic product, rates of inflation, currency valuation, capital reinvestment, resource self-sufficiency and balance of payments positions. Many countries have experienced extremely high rates of inflation for many years. Unanticipated economic, political and social developments may also affect the values of the Fund’s investments and limit the availability of additional investments in such countries. Furthermore, such developments may significantly disrupt the financial markets or interfere with the Fund’s ability to enforce its rights against non-U.S. government issuers. Investments in debt instruments of issuers located in emerging market countries are considered speculative. Heightened risks of investing in emerging markets government debt include: smaller market capitalization of securities markets, which may suffer periods of relative illiquidity; significant price volatility; restrictions on foreign investment; and possible repatriation of investment income and capital. Furthermore, foreign investors may be required to register the proceeds of sales and future economic or political crises could lead to price controls, forced mergers, expropriation or confiscatory taxation, seizure, nationalization or creation of government monopolies. The currencies of emerging market countries may experience significant declines against the U.S. dollar, and devaluation may occur subsequent to investments in these currencies by the Fund. Inflation and rapid fluctuations in inflation rates have had, and may continue to have, negative effects on the economies and securities markets of certain emerging market countries.

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Board of Trustees and Officers First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited) The Fund’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.

Name, Address, Date of Birth and Position with the Fund

Term of Office and Length of Service(2)

Principal Occupations During Past 5 Years

Number of Portfolios in the First Trust Fund Complex Overseen by Trustee

Other Trusteeships or Directorships Held by Trustee During Past 5 Years

INDEPENDENT TRUSTEES Richard E. Erickson, Trustee c/o First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 04/51 Thomas R. Kadlec, Trustee c/o First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 11/57

• Three-Year Term • Since Fund Inception

• Three-Year Term

Physician; President, Wheaton Orthopedics; Limited Partner, Gundersen Real Estate Limited Partnership; Member, Sportsmed LLC

120

None

President, ADM Investor Services, Inc. (Futures Commission Merchant)

120

Director of ADM Investor Services, Inc., ADM Investor Services International, and Futures Industry Association

President, Hibs Enterprises (Financial and Management Consulting)

120

Director of Trust Company of Illinois

Managing Director and Chief Operating Officer (January 2015 to Present), Pelita Harapan Education Foundation (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Servant Interactive LLC (Educational Products and Services); President and Chief Executive Officer (June 2012 to September 2014), Dew Learning LLC (Educational Products and Services); President (June 2002 to June 2012), Covenant College

120

Director of Covenant Transport, Inc. (May 2003 to May 2014)

120

None

• Since Fund Inception

Robert F. Keith, Trustee c/o First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 11/56

• Three-Year Term

Niel B. Nielson, Trustee c/o First Trust Advisors L.P. 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 03/54

• Three-Year Term

• Since Fund Inception

• Since Fund Inception

INTERESTED TRUSTEE James A. Bowen(1), Trustee and Chairman of the Board 120 East Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 09/55

(1)

(2)

• Three-Year Term • Since Fund Inception

Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chairman of the Board of Directors, BondWave LLC (Software Development Company/Investment Advisor) and Stonebridge Advisors LLC (Investment Advisor)

Mr. Bowen is deemed an “interested person” of the Fund due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Fund. Currently, Richard E. Erickson and Thomas R. Kadlec, as Class II Trustees, are serving as trustees until the Fund’s 2018 annual meeting of shareholders. James A. Bowen and Niel B. Nielson, as Class III Trustees, are serving as trustees until the Fund’s 2016 annual meeting of shareholders. Robert F. Keith, as a Class I Trustee, is serving as a trustee until the Fund’s 2017 annual meeting of shareholders. Page 34

Board of Trustees and Officers (Continued) First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited)

Name, Address and Date of Birth

Position and Offices with Fund

Term of Office and Length of Service

Principal Occupations During Past 5 Years

OFFICERS(3) James M. Dykas 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 01/66

President and Chief Executive Officer

W. Scott Jardine 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 05/60

Secretary and Chief Legal Officer

Daniel J. Lindquist 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B: 02/70

Vice President

Kristi A. Maher 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 12/66

Chief Compliance Officer and Assistant Secretary

• Indefinite Term • Since January 2016

• Indefinite Term • Since Fund Inception

• Indefinite Term • Since Fund Inception

• Indefinite term

Managing Director and Chief Financial Officer (January 2016 to Present), Controller (January 2011 to January 2016), Senior Vice President (April 2007 to January 2016), First Trust Advisors L.P. and First Trust Portfolios L.P.

General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC (Software Development Company/Investment Advisor); Secretary of Stonebridge Advisors LLC (Investment Advisor)

Managing Director (July 2012 to Present), Senior Vice President (September 2005 to July 2012), First Trust Advisors L.P. and First Trust Portfolios L.P.

Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.

• Chief Compliance Officer Since January 2011 • Assistant Secretary Since Fund Inception

Donald P. Swade 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 D.O.B.: 08/72

(3)

Treasurer, Chief Financial Officer and Chief Accounting Officer

• Indefinite Term • Since January 2016

Vice President (April 2012 to Present), First Trust Advisors L.P. and First Trust Portfolios L.P., Vice President (September 2006 to April 2012), Guggenheim Funds Investment Advisors, LLC/ Claymore Securities, Inc.

Officers of the Fund have an indefinite term. The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function. Page 35

Privacy Policy First Trust/Aberdeen Emerging Opportunity Fund (FEO) December 31, 2015 (Unaudited) Privacy Policy First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.

Sources of Information We collect nonpublic personal information about you from the following sources: • Information we receive from you and your broker-dealer, investment advisor or financial representative through interviews, applications, agreements or other forms; • Information about your transactions with us, our affiliates or others; • Information we receive from your inquiries by mail, e-mail or telephone; and • Information we collect on our website through the use of “cookies”. For example, we may identify the pages on our website that your browser requests or visits.

Information Collected The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.

Disclosure of Information We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons: • In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers. • We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud). In addition, in order to alert you to our other financial products and services, we may share your personal information with affiliates of the Fund.

Privacy Online We allow third-party companies, including AddThis (a social media sharing service), to collect certain anonymous information when you visit our website. These companies may use non-personally identifiable information during your visits to this and other websites in order to provide advertisements about goods and services likely to be of greater interest to you. These companies typically use a cookie, third party web beacon or pixel tags, to collect this information. To learn more about this behavioral advertising practice, you can visit www.networkadvertising.org.

Confidentiality and Security With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.

Policy Updates and Inquiries As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).

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INVESTMENT ADVISOR First Trust Advisors L.P. 120 E. Liberty Drive, Suite 400 Wheaton, IL 60187 INVESTMENT SUB-ADVISOR Aberdeen Asset Management Inc. 1735 Market Street, 32nd Floor Philadelphia, PA 19103 ADMINISTRATOR, FUND ACCOUNTANT & TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 CUSTODIAN The Bank of New York Mellon 101 Barclay Street, 20th Floor New York, NY 10286 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 111 S. Wacker Drive Chicago, IL 60606 LEGAL COUNSEL Chapman and Cutler LLP 111 W. Monroe Street Chicago, IL 60603

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